After you hit the "Print Screen" button, alt-tab to your desktop, open Windows Paint, select "Edit" and then "Paste". Now save the screen shot to the location/folder of your choice (e.g. Documents > My KB Screen Shots).
Keep in mind that you can only take one screen shot at a time (e.g. only the last screen shot taken is saved), so just alt-tab to the desktop and save the shot before taking another.
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